It's really pretty simple. If you use Facebook to login to other services, they're connected. If you're concerned about it, don't use Facebook as your ticket to all the other services out there.
I just checked my own off-facebook activity and I am blown away at just how much information is available on me. They have a fairly concise list of all the websites that I have visited in the past month, none of which I used facebook for logging in.
Then, when you use another service, and don't even create an account or log in, and simply provide that service with your phone number (e.g. OpenTable, Deliveroo, AirBnb, others), and then that service provides a complete log of all of their transactions to Facebook with phone numbers and email addresses, now Facebook can associate your purchase history with your name, email address, and phone number provided to them by your contacts. It's called a Shadow Profile.
It has nothing to do with "us[ing] Facebook as your ticket to all the other services". They track you even if you don't have a Facebook account at all, and don't create accounts on other sites, simply through your telephone number or email address. I wouldn't be surprised if they're also storing credit card numbers (or one-way hashes thereof) to cross-link purchases, too.
I think this may be by correlating the Android advertising ID?